Diversifcation Measurement without the Data
I take an example from the subprime CDO market to illustrate diversification measurement technique with out time series or meaningful correlation data.
Offering insights into the financial markets as well as discussion involving the world of the Robo Advisor.
Rebalance Versus Reoptimization
Everyone uses the word rebalance. I am done with it. Re-optimization fully dominates rebalancing. Let’s define a rebalancing action as a portfolio reallocation process where an investor recenters a portfolio back to its target allocation. The theory here in that one avoids chasing the hot assets and helps to systematically buy low and sell high. …
Optimal IPC Targets
I am often asked what value should I target in the IPC’s. Is a value of 60% really better than a value of 50%? Here is my latest thinking; Reducing the amount of systemic exposure is indeed critical to reducing the risk experience of a portfolio. there seems to be an exponential utility decay function…
Welcome to my Blog!
The purpose of this blog is to serve as a resource for Gsphere users and Sub-advisory clients. My plan is to build out the content on around a biweekly basis. I welcome your suggestions and comments! Thanks Jim